| Article ID: | iaor19972421 |
| Country: | Germany |
| Volume: | 44 |
| Issue: | 1 |
| Start Page Number: | 115 |
| End Page Number: | 133 |
| Publication Date: | Jul 1996 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Rieder U., Liebig T. |
| Keywords: | programming: dynamic |
The authors introduce the notion of a greedy policy for general stochastic control models. Sufficient conditions for the optimality of the greedy policy for finite and infinite horizon are given. Moreover, they derive error bounds if the greedy policy is not optimal. The main results are illustrated by Bayesian information models, discounted Bayesian search problems, stochastic scheduling problems, single-server queueing networks and deterministic dynamic programs.